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MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

✍ Scribed by Aleš Černý; Jan Kallsen

Book ID
111043107
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
195 KB
Volume
18
Category
Article
ISSN
0960-1627

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✍ Hsiang-Tai Lee; Jonathan Yoder 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 307 KB

## Abstract The authors develop a Markov regime‐switching time‐varying correlation generalized autoregressive conditional heteroscedasticity (RS‐TVC GARCH) model for estimating optimal hedge ratios. The RS‐TVC nests within it both the time‐varying correlation GARCH (TVC) and the constant correlatio